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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA)
Bierens, H. & Martins, L. F. (2010). Time varying cointegration. Econometric Theory. 26 (5), 1453-1490
Exportar Referência (IEEE)
H. Bierens and L. F. Martins,  "Time varying cointegration", in Econometric Theory, vol. 26, no. 5, pp. 1453-1490, 2010
Exportar BibTeX
@article{bierens2010_1716162240566,
	author = "Bierens, H. and Martins, L. F.",
	title = "Time varying cointegration",
	journal = "Econometric Theory",
	year = "2010",
	volume = "26",
	number = "5",
	doi = "10.1017/S0266466609990648",
	pages = "1453-1490",
	url = "http://dx.doi.org/10.1017/S0266466609990648"
}
Exportar RIS
TY  - JOUR
TI  - Time varying cointegration
T2  - Econometric Theory
VL  - 26
IS  - 5
AU  - Bierens, H.
AU  - Martins, L. F.
PY  - 2010
SP  - 1453-1490
SN  - 0266-4666
DO  - 10.1017/S0266466609990648
UR  - http://dx.doi.org/10.1017/S0266466609990648
AB  - In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity hypothesis of international prices and nominal exchange rates, and we find evidence of time-varying cointegration.
ER  -